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Topic: Simulation for the standard deviation
Replies: 27   Last Post: Mar 1, 2013 7:30 AM

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Ray Koopman

Posts: 3,382
Registered: 12/7/04
Re: Simulation for the standard deviation
Posted: Feb 28, 2013 12:35 AM
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On Feb 27, 5:13 am, Cristiano <cristi...@NSgmail.com> wrote:
> On 27/02/2013 9:09, Ray Koopman wrote:
>

>> The variance of the unbiased sample variance in samples of size n
>> from a Uniform(0,1) distribution is (2n+3)/(360n(n-1)). For n = 2
>> this reduces to 7/720 = .0097222... .

>
> But how can I use that formula to calculate the p-value for
> Var[s^2]? I should know the CDF of Var[s^2], right?


You can get a p-value when n = 2, in which case sd = range/sqrt(2)
and you can take advantage of the fact that we know the cdf of the
range. Otherwise, unless someone can point you to the cdf of the sd
(or, more likely, the variance), you'll have to get a Monte Carlo
estimate of the p-value.


Date Subject Author
2/20/13
Read Simulation for the standard deviation
Cristiano
2/21/13
Read Re: Simulation for the standard deviation
Richard Ulrich
2/21/13
Read Re: Simulation for the standard deviation
Cristiano
2/21/13
Read Re: Simulation for the standard deviation
Richard Ulrich
2/22/13
Read Re: Simulation for the standard deviation
Cristiano
2/22/13
Read Re: Simulation for the standard deviation
Richard Ulrich
2/21/13
Read Re: Simulation for the standard deviation
Ray Koopman
2/22/13
Read Re: Simulation for the standard deviation
Ray Koopman
2/22/13
Read Re: Simulation for the standard deviation
Cristiano
2/22/13
Read Re: Simulation for the standard deviation
Ray Koopman
2/23/13
Read Re: Simulation for the standard deviation
Cristiano
2/23/13
Read Re: Simulation for the standard deviation
Ray Koopman
2/23/13
Read Re: Simulation for the standard deviation
Cristiano
2/24/13
Read Re: Simulation for the standard deviation
Cristiano
2/24/13
Read Re: Simulation for the standard deviation
Ray Koopman
2/24/13
Read Re: Simulation for the standard deviation
Cristiano
2/25/13
Read Re: Simulation for the standard deviation
Ray Koopman
2/25/13
Read Re: Simulation for the standard deviation
Cristiano
2/25/13
Read Re: Simulation for the standard deviation
Ray Koopman
2/25/13
Read Re: Simulation for the standard deviation
David Jones
2/26/13
Read Re: Simulation for the standard deviation
Cristiano
2/26/13
Read Re: Simulation for the standard deviation
David Jones
2/27/13
Read Re: Simulation for the standard deviation
Ray Koopman
2/27/13
Read Re: Simulation for the standard deviation
Cristiano
2/28/13
Read Re: Simulation for the standard deviation
Ray Koopman
2/28/13
Read Re: Simulation for the standard deviation
Cristiano
2/28/13
Read Re: Simulation for the standard deviation
Ray Koopman
3/1/13
Read Re: Simulation for the standard deviation
Cristiano

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